Weak convergence of the sequential empirical processes of residuals in ARMA models

This paper studies the weak convergence of the sequential empirical process $\hat{K}_n$ of the estimated residuals in ARMA(p,q) models when the errors are independent and identically distributed. It is shown that, under some mild conditions, $\hat{K}_n$ converges weakly to a Kiefer process. The weak convergence is discussed for both finite and infinite variance time series models. An application to a change-point problem is considered.

MoreLess

Year of publication:	1991-08
Authors:	Bai, Jushan

More details

Type of publication:	Book / Working Paper
Language:	English
Notes:	Bai, Jushan (1991): Weak convergence of the sequential empirical processes of residuals in ARMA models. Published in: Annals of Statistics , Vol. 22, (1994): pp. 2051-2061.
Classification:	C14 - Semiparametric and Nonparametric Methods ; C22 - Time-Series Models
Source:	BASE

Persistent link: https://www.econbiz.de/10015228140